Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0155
Annualized Std Dev 0.2622
Annualized Sharpe (Rf=0%) 0.0590

Row

Daily Return Statistics

Close
Observations 3155.0000
NAs 1.0000
Minimum -0.1211
Quartile 1 -0.0061
Median 0.0005
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0073
Maximum 0.1313
SE Mean 0.0003
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0165
Skewness -0.5875
Kurtosis 10.5808

Downside Risk

Close
Semi Deviation 0.0122
Gain Deviation 0.0116
Loss Deviation 0.0138
Downside Deviation (MAR=210%) 0.0166
Downside Deviation (Rf=0%) 0.0121
Downside Deviation (0%) 0.0121
Maximum Drawdown 0.5152
Historical VaR (95%) -0.0233
Historical ES (95%) -0.0416
Modified VaR (95%) -0.0261
Modified ES (95%) -0.0546
From Trough To Depth Length To Trough Recovery
2011-04-06 2020-03-18 2021-02-19 -0.5152 2483 2250 233
2008-09-24 2008-11-20 2010-11-04 -0.5073 534 42 492
2008-09-04 2008-09-09 2008-09-23 -0.1024 14 4 10
2011-03-04 2011-03-16 2011-03-30 -0.0802 19 9 10
2010-11-12 2010-11-16 2010-12-10 -0.0548 20 3 17

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA NA NA NA -1.6 3.7 -10.2 3.6 -5
2009 0.4 -0.8 2.3 2.1 3.7 0.8 0.9 -1.9 -3.1 -3.8 2.8 -0.5 2.5
2010 3 1.1 1.2 -1 -2.9 -0.3 0.3 3.4 1 -0.1 2.5 0.3 8.7
2011 2.6 -1.5 1 0.9 -2.5 0.6 -0.1 -0.7 -3.3 -3.3 -0.5 0.4 -6.4
2012 1 0.9 1 1.1 -1.9 3.1 0 1.3 1.4 1 -0.3 1.9 11
2013 1 -0.6 -0.8 -1.5 -2.1 0.5 0.8 -0.5 0.5 -0.6 -0.1 0.4 -3.1
2014 -1.1 0.2 0.4 -0.5 -0.4 0.4 -0.7 0.3 -1.5 0.9 -0.5 -0.1 -2.7
2015 0.1 0.2 1.1 1.1 -0.3 -0.2 -0.6 -3.7 0 -0.2 0.6 -0.8 -2.6
2016 -1 1.8 -0.8 0.7 -0.1 0.9 -1.2 0.2 0.6 0 0.7 -0.5 1.4
2017 0.3 1.5 0.2 -0.1 0.2 0.8 0 0.6 0.6 0.9 0.2 0.1 5.4
2018 0.3 -0.9 1.7 -0.3 0.5 1 -1.1 -1 0 1.9 0.1 0.9 3.2
2019 0 0.1 1.2 -1.4 -0.5 0.2 -1.1 0.5 -1.2 1.5 -0.6 0.3 -1
2020 -2 -2 -3.6 -3.8 1.8 -0.4 -1.3 0.6 -0.7 -0.7 1.6 -0.2 -10.5
2021 1.5 2.1 -0.2 NA NA NA NA NA NA NA NA NA 3.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2008-09-03  37.1 SPY    128. -0.0009   0.0038   0.0231  -0.0735   -0.142   0.0432    0.244 GLD    78.9 -0.0039  -0.0288
2 2008-09-04  35.6 SPY    124. -0.0301  -0.0358  -0.0337  -0.119    -0.161   0.0126    0.2   GLD    78.4 -0.0063  -0.0365
3 2008-09-05  36.2 SPY    124.  0.0031  -0.0443  -0.035   -0.0871   -0.160   0.0176    0.203 GLD    79.0  0.0075  -0.0389
4 2008-09-08  35.6 SPY    127.  0.0207  -0.014   -0.0002  -0.0705   -0.131   0.0266    0.235 GLD    78.9 -0.0015  -0.0349
5 2008-09-09  33.3 SPY    123. -0.0297  -0.0373  -0.0475  -0.0936   -0.155  -0.0056    0.188 GLD    76.5 -0.0301  -0.0342
6 2008-09-10  34.0 SPY    124.  0.0041  -0.0325  -0.0535  -0.0763   -0.161   0.0018    0.201 GLD    74.2 -0.0297  -0.0592
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart